<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0188-3380</journal-id>
<journal-title><![CDATA[Economía: teoría y práctica]]></journal-title>
<abbrev-journal-title><![CDATA[Econ: teor. práct]]></abbrev-journal-title>
<issn>0188-3380</issn>
<publisher>
<publisher-name><![CDATA[Universidad Autónoma Metropolitana, a través de la Unidad Iztapalapa, la Unidad Azcapotzalco y la Unidad Xochimilco, División de Ciencias Sociales]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0188-33802020000200201</article-id>
<article-id pub-id-type="doi">10.24275/etypuam/ne/532020/santillan</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Optimal Hedge Ratios for the Mexican Stock Market Index Futures Contract: A Multivariate GARCH Approach]]></article-title>
<article-title xml:lang="es"><![CDATA[Razones de Cobertura Óptima para el Contrato Futuro sobre el Índice del Mercado Bursátil Mexicano: Un Enfoque GARCH Multivariado]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Santillán-Salgado]]></surname>
<given-names><![CDATA[Roberto J.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Escobar-Saldivar]]></surname>
<given-names><![CDATA[Luis Jacob]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[López-Herrera]]></surname>
<given-names><![CDATA[Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Tecnologico de Monterrey EGADE Business School ]]></institution>
<addr-line><![CDATA[Monterrey ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Tecnologico de Monterrey  ]]></institution>
<addr-line><![CDATA[Monterrey ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,UNAM Facultad de Contaduria y Administracion Division de Investigacion]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2020</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2020</year>
</pub-date>
<numero>53</numero>
<fpage>201</fpage>
<lpage>237</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0188-33802020000200201&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0188-33802020000200201&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0188-33802020000200201&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper compares the performance of different hedging strategies using futures contracts on Mexico&#8217;s Stock Exchange Index (IPC), traded in the Mexican Derivatives Market (MexDer). The ex-post evaluation of each strategy is made with daily closing prices from December 30th, 1999, through December 30th, 2016. The strategies considered are a) a No-hedge; b) a Naive Hedge; c) Constant Hedge; and d) a Dynamic Hedge, using a Constant Conditional Correlation Asymmetric Bivariate GARCH model. Four structural breaks are identified during the sample period, suggesting a five subperiods analysis. The strategies are compared using different risk measures: a) Value at Risk; b) Expected Shortfall; and c) LAQ. In all cases, hedging strategies reduce the volatility of the portfolio relative to the no-hedge strategy, but the dynamic hedge ratio produces the best results.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este articulo compara el desempeno de diferentes estrategias de cobertura con contratos de futuros sobre el indice de la Bolsa Mexicana de Valores (IPC) negociados en el Mercado Mexicano de Derivados (MexDer). La evaluacion ex-post de cada estrategia se realiza con precios de cierre diarios del 30 de diciembre de 1999 al 30 de diciembre de 2016. Las estrategias consideradas son: a) sin cobertura; b) razon de cobertura &#8220;naive&#8221;; c) razon de cobertura constante; y d) razon de cobertura dinamica, mediante un modelo GARCH bivariado asimetrico con correlacion constante. Se identifican cuatro rupturas estructurales durante el periodo de la muestra, lo que sugiere el analisis en cinco subperiodos. Las estrategias son comparadas usando diferentes medidas de riesgo: a) Valor en riesgo; b) Deficit esperado, y c) LAQ. En todos los casos, las estrategias de cobertura reducen la volatilidad de la cartera, pero la razon de cobertura dinamica produce los mejores resultados.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Futures contracts]]></kwd>
<kwd lng="en"><![CDATA[hedging strategies]]></kwd>
<kwd lng="en"><![CDATA[emerging derivatives markets]]></kwd>
<kwd lng="en"><![CDATA[G11]]></kwd>
<kwd lng="en"><![CDATA[G13]]></kwd>
<kwd lng="es"><![CDATA[Contratos futuros]]></kwd>
<kwd lng="es"><![CDATA[estrategias de cobertura]]></kwd>
<kwd lng="es"><![CDATA[mercados emergentes de derivados]]></kwd>
<kwd lng="es"><![CDATA[G11]]></kwd>
<kwd lng="es"><![CDATA[G13]]></kwd>
</kwd-group>
</article-meta>
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